Modeling Portfolio Loss by Interval Distributions

Bill Huajian Yang, Jenny Yang and Haoji Yang

MPRA Paper from University Library of Munich, Germany

Abstract: Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous risk outcome, can then be fitted by maximum likelihood approaches assuming an interval distribution. Given fixed effects, regression function can be estimated and derived accordingly when required. This provides an alternative regression tool to the fraction response model and Beta regression model.

Keywords: Interval distribution; model with a random effect; tailed index; expected shortfall; heteroscedasticity; Beta regression model; fraction response model; maximum likelihood. (search for similar items in EconPapers)
JEL-codes: C0 C01 C02 C5 C51 C53 C6 C61 C8 (search for similar items in EconPapers)
Date: 2020-07-20
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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Published in Big Data and Information Analytics 1.5(2020): pp. 1-13

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:102219

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